even if you have auto priority enabled, make sure that "Priority" setting is not empty, set it to 0.8-1.0 value and regenerate sitemap.Note that this is only a warning message though and google will still process your sitemap correctly.

Ok, I have the value set to 0.5, the "Automatically assign priority attribute" box is checked, and it is still not assigning priority to sitemap2.xml. It is working fine in sitemap1.xml, just not sitemap2.xml. Is there anything else I can adjust to ensure that priorities get set in all sitemap files?